Exploring the market risk profiles of US and European stock insurers

被引：1

作者：

Grochola, Nicolaus ^{[1
,5
]}

Browne, Mark J. ^{[2
]}

Gruendl, Helmut ^{[3
]}

Schluetter, Sebastian ^{[4
]}

机构：

[1] Goethe Univ Frankfurt, Fac Econ & Business, Int Ctr Insurance Regulat, House Finance, Frankfurt, Germany

[2] St Johns Univ, Tobin Coll Business, Sch Risk Management, New York, NY USA

[3] Goethe Univ Frankfurt, Int Ctr Insurance Regulat, Frankfurt, Germany

[4] Mainz Univ Appl Sci, Dept Business, Mainz, Germany

[5] Goethe Univ Frankfurt, Fac Econ & Business, Int Ctr Insurance Regulat, House Finance, Theodor W Adorno Pl 3, D-60629 Frankfurt, Germany

来源：

RISK MANAGEMENT AND INSURANCE REVIEW | 2023年 / 26卷 / 03期

关键词：

PARTICIPATING LIFE-INSURANCE; UNITED-STATES; RETURNS; COMPANIES;

D O I：

10.1111/rmir.12248

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Market risks account for an integral part of insurers' risk profiles. We explore market risk sensitivities of insurers in the United States and Europe. Based on panel regression models and daily market data from 2012 to 2018, we find that sensitivities are particularly driven by insurers' product portfolio. The influence of interest rate movements on stock returns is 60% larger for US than for European life insurers. For the former, interest rate risk is a dominant market risk with an effect that is five times larger than through corporate credit risk. For European life insurers, the sensitivity to interest rate changes is only 44% larger than toward credit default swap of government bonds, underlining the relevance of sovereign credit risk.

引用

页码：287 / 341

页数：55

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